Multivariate lag-windows and group representations

DOI10.1016/J.JMVA.2008.02.038MaRDI QIDQ957327zbMATH OpenOpenAlexFDO

Authors Arthur Berg

Publication date 27 November 2008

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0612674

zbMATH Keywords

group representationssymmetry grouphigher-order spectramultivariate lag-windows

Mathematics Subject Classification ID

Time series analysis of dynamical systems (37M10) Representations of finite symmetric groups (20C30)

Abstract: Symmetries of the auto-cumulant function (the generalization of the auto-covariance function) of a kth-order stationary time series are derived through a connection with the symmetric group of degree k. Using theory of group representations, symmetries of the auto-cumulant function are demystified and lag-window functions are symmetrized to satisfy these symmetries. A generalized Gabr-Rao optimal kernel, used to estimate general kth-order spectra, is also derived through the developed theory.

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Cited in

(4)

• Higher-order accurate polyspectral estimation with flat-top lag-windows
• Partial group delay and time-lagged relationships among multiple time series
• Quadratic prediction of time series via auto-cumulants
• A bootstrap test for time series linearity

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